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Table 4 Coefficients of the VAR processes for the first period (1995 to 2005) and second period (2006 to 2015)

From: An analysis of price and volatility transmission in butter, palm oil and crude oil markets

  

1995–2005

  

Lag 1

Lag 2

 

Constant

EU butter

Oceania butter

Crude palm oil

Crude oil Brent

EU butter

Oceania butter

Crude palm oil

Crude oil Brent

EU butter

x

0.4110*

x

x

x

−0.1466***

x

x

x

Oceania butter

x

0.220**

0.3788*

x

x

0.2648

x

x

x

Crude palm oil

x

x

x

0.3447*

x

x

x

−0.3899*

x

Crude oil Brent

x

x

x

x

x

x

−0.3313

x

x

  

2006–2015

    
  

Lag 1

    
 

Constant

EU butter

Oceania butter

Crude palm oil

Crude oil Brent

    

EU butter

x

0.5782*

0.1469*

x

x

    

Oceania butter

x

0.1883*

0.3510*

x

0.0904***

    

Crude palm oil

x

x

x

0.3274*

0.1778*

    

Crude oil Brent

x

x

x

x

0.4210*

    
  1. The symbols *, ** and *** denote rejection of the null hypothesis that the corresponding parameter equals 0 at the 1, 5 and 10 % confidence level, respectively. The symbol x denotes a zero constraint